People are surprised that Thor is the most powerful character, I thought that was obvious. Of course he'll face the most epic threat, we'll at least until GOTG comes along, we don't know how big the threat will be there yet.

Even in GOTG I don't think the threat is going to be bigger than the universe, especially since Thanos isn't the villain. As a matter of fact I don't think there will be a bigger threat than Thor 2's until Thor 3 and Avenger 3.